Curtiss Wright Risk Analysis

Curtiss Wright Corporation -- USA Stock  

USD 113.54  0.06  0.05%

Macroaxis considers Curtiss Wright not too risky given 1 month investment horizon. Curtiss Wright secures Sharpe Ratio (or Efficiency) of 0.4653 which signifies that Curtiss Wright had 0.4653% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for Curtiss Wright Corporation which you can use to evaluate future volatility of the firm. Please makes use of Curtiss Wright Coefficient Of Variation of 209.31, Risk Adjusted Performance of 0.117 and Mean Deviation of 0.7624 to double-check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Curtiss Wright Market Sensitivity

As returns on market increase, Curtiss Wright returns are expected to increase less than the market. However during bear market, the loss on holding Curtiss Wright will be expected to be smaller as well.
One Month Beta |Analyze Curtiss Wright Demand Trend
Check current 30 days Curtiss Wright correlation with market (DOW)
β = 0.3888
Curtiss Wright Small BetaCurtiss Wright Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Curtiss Wright has beta of 0.3888 . This suggests as returns on market go up, Curtiss Wright average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Curtiss Wright Corporation will be expected to be much smaller as well. Moreover, Curtiss Wright Corporation has an alpha of 0.4252 implying that it can potentially generate 0.4252% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Curtiss Wright is 214.9. The daily returns are destributed with a variance of 0.99 and standard deviation of 0.99. The mean deviation of Curtiss Wright Corporation is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.43 
βBeta against DOW= 0.39 
σ
Overall volatility
= 0.99 
 IrInformation ratio = 0.35 

Actual Return Volatility

Curtiss Wright Corporation accepts 0.9936% volatility on return distribution over the 30 days horizon. DOW inherits 0.2252% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Curtiss Wright Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Slowly supersedes market

Total Debt

Curtiss Wright Total Debt History

Total Debt

Largest Trends

Curtiss Wright Largest Period Trend

Investment Outlook

Curtiss Wright Investment Opportunity
Curtiss Wright Corporation has a volatility of 0.99 and is 4.3 times more volatile than DOW. 9% of all equities and portfolios are less risky than Curtiss Wright. Compared to the overall equity markets, volatility of historical daily returns of Curtiss Wright Corporation is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Curtiss Wright Corporation to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Curtiss Wright to be traded at $112.4 in 30 days. As returns on market increase, Curtiss Wright returns are expected to increase less than the market. However during bear market, the loss on holding Curtiss Wright will be expected to be smaller as well.

Curtiss Wright correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Curtiss Wright Corp. and equity matching DJI index in the same portfolio.

Volatility Indicators

Curtiss Wright Current Risk Indicators